MARKOV-MODULATED MEAN-VARIANCE PROBLEM FOR AN INSURER

作者：Wang Wei^*; Bi Junna

来源：Acta Mathematica Scientia, 2011, 31(3): 1051-1061.

DOI：10.1016/S0252-9602(11)60297-X

• Markov chain
• mean-variance
• efficient strategy
• efficient frontier
• Lagrange multiplier

In this paper, we consider an insurance company which has the option of investing in a risky asset and a risk-free asset, whose price parameters are driven by a finite state Markov chain. The risk process of the insurance company is modeled as a diffusion process whose diffusion and drift parameters switch over time according to the same Markov chain. We study the Markov-modulated mean-variance problem for the insurer and derive explicitly the closed form of the efficient strategy and efficient frontier. In the case of no regime switching, we can see that the efficient frontier in our paper coincides with that of [10] when there is no pure jump.

• 出版日期2011-5
• 单位南开大学